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A Data-driven Change-point Estimator

10/23/2020

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by Stefanie Schwaar, et al.

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The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive estimator with data-driven weights is presented to overcome this problem, and it is shown that the corresponding adaptive change-point tests are valid.

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